Trend-Following Backtester · Guide · backtest 한국어
etf · US
Teucrium Sugar Fund ETV backtest
10 trend-following strategies were compared on the full daily history of Teucrium Sugar Fund ETV. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -14.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -5.2%, drawdown -81.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.0%, MDD -25.6%, Sharpe 0.65, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 1.4%, MDD -14.9%, exposure 8%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=140, threshold=0.14 |
6.0% | -25.6% | 0.65 | 0.24 | 2.4x | 27 | 18% |
| Donchian 채널 돌파 entryN=129, exitN=53 |
5.7% | -22.7% | 0.58 | 0.25 | 2.3x | 11 | 22% |
| SMA 크로스오버 fast=73, slow=184 |
4.2% | -41.7% | 0.37 | 0.10 | 1.9x | 17 | 36% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=24, mult=3.2 |
2.9% | -21.3% | 0.30 | 0.13 | 1.5x | 41 | 21% |
| 볼린저 밴드 돌파 n=63, k=2.3 |
2.5% | -22.0% | 0.28 | 0.12 | 1.5x | 31 | 23% |
| EMA 크로스오버 fast=54, slow=173 |
2.1% | -39.9% | 0.23 | 0.05 | 1.4x | 15 | 32% |
| ADX / DI 방향성 period=38, threshold=23 |
1.4% | -14.9% | 0.22 | 0.09 | 1.2x | 16 | 8% |
| Supertrend period=9, mult=4 |
-1.3% | -55.8% | 0.01 | -0.02 | 0.8x | 83 | 48% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-5.6% | -73.7% | -0.26 | -0.08 | 0.4x | 235 | 47% |
| MACD fast=14, slow=23, signal=19 |
-8.9% | -80.6% | -0.47 | -0.11 | 0.2x | 225 | 48% |
| Buy and hold | -5.2% | -81.3% | -0.11 | -0.06 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 140-day return is greater than 14%
- Sell — Sell when the 140-day return drops to 14% or below